class ApiConnection:
def __init__(self):
self.client = Client(API_KEY, API_SECRET)
self.QUANTITY = 0.005
self.LIM = 0.0003
self.WINDOW = 100
self.LENGTH = 3000
self.LAST_INDICATOR = -1
self.VECTOR = deque([], self.LENGTH)
self.MEAN_SPREAD = deque([], self.LENGTH)
self.AUX = []
self.AUX_SPREAD = []
self.SIGNAL_SELL = False
self.SIGNAL_BUY = False
self.value_spot = 56100
self.value_future = 56100
self.POS = 0
self.SYMBOL = 'BTCUSDT'
self.client.futures_change_leverage(symbol=self.SYMBOL, leverage=10)
def open_web_socket(self):
self.bsm = BinanceSocketManager(self.client)
self.conn_key_spot = self.bsm.start_multiplex_socket(
['btcusdt@bookTicker'], self._data_from_spot)
self.bsm.start()
def open_web_socket_futures(self):
self.bsm_ = BinanceSocketManager(self.client)
self.conn_key_fut = self.bsm_.start_multiplex_socket_futures(
['btcusdt@bookTicker'], self._data_from_futures)
self.bsm_.start()
def _data_from_futures(self, msg):
self.ask = float(msg['data']['a'])
self.bid = float(msg['data']['b'])
self.value_future = (self.ask + self.bid) / 2.0
if len(self.VECTOR) < self.LENGTH:
self.VECTOR.append(self.value_future)
self.MEAN_SPREAD.append(self.value_future / self.value_spot)
if len(self.MEAN_SPREAD) == 2998:
self.mean = np.mean(self.MEAN_SPREAD)
self.permutation = self._permutation_entropy()
else:
self._strategy()
self.AUX_SPREAD.append(self.value_future / self.value_spot)
self.AUX.append(self.value_future)
if len(self.AUX) == self.WINDOW:
self.VECTOR.extend(self.AUX)
self.MEAN_SPREAD.extend(self.AUX_SPREAD)
self.mean = np.mean(self.MEAN_SPREAD)
self.permutation = self._permutation_entropy()
self.AUX = []
self.AUX_SPREAD = []
#self._strategy()
def _data_from_spot(self, msg):
self.value_spot = (float(msg['data']['b']) +
float(msg['data']['a'])) / 2.0
if len(self.VECTOR) < self.LENGTH:
self.VECTOR.append(self.value_spot)
self.MEAN_SPREAD.append(self.value_future / self.value_spot)
if len(self.MEAN_SPREAD) == 2998:
self.mean = np.mean(self.MEAN_SPREAD)
self.permutation = self._permutation_entropy()
else:
self._strategy()
self.AUX_SPREAD.append(self.value_future / self.value_spot)
self.AUX.append(self.value_spot)
if len(self.AUX) == self.WINDOW:
self.VECTOR.extend(self.AUX)
self.MEAN_SPREAD.extend(self.AUX_SPREAD)
self.mean = np.mean(self.MEAN_SPREAD)
self.permutation = self._permutation_entropy()
self.AUX = []
self.AUX_SPREAD = []
#self._strategy()
def _permutation_entropy(self):
return permutation_entropy(self.MEAN_SPREAD, order=5, delay=1)
def _strategy(self):
INDICATOR = (self.value_future / self.value_spot -
self.mean) / self.permutation
if INDICATOR > self.LIM:
self.LAST_INDICATOR = 1
self.SIGNAL_SELL = True
elif INDICATOR < -self.LIM:
self.LAST_INDICATOR = 0
self.SIGNAL_BUY = True
if (INDICATOR > -0.000065) and (INDICATOR < 0.000065):
if self.LAST_INDICATOR == 1:
self.LAST_INDICATOR = -1
self.SIGNAL_BUY = True
self.SIGNAL_SELL = False
elif self.LAST_INDICATOR == 0:
self.LAST_INDICATOR = -1
self.SIGNAL_SELL = True
self.SIGNAL_BUY = False
self._operational()
sys.stdout.write(f'\r {INDICATOR}')
sys.stdout.flush()
def _operational(self):
if self.POS <= 0:
if self.SIGNAL_BUY == True:
# self.POS += 1
self._place_orders('BUY', 'SELL')
self.POS += 1
print('BUY - BTCUSDTF -- price {} -- '.format(self.ask))
self.SIGNAL_BUY = False
if self.POS >= 0:
if self.SIGNAL_SELL == True:
# self.POS -= 1
self._place_orders('SELL', 'BUY')
self.POS -= 1
print('SELL - BTCUSDTF -- price {} -- '.format(self.bid))
self.SIGNAL_SELL = False
def _place_orders(self, first, second):
self.client.futures_create_order(side=first,
quantity=self.QUANTITY,
symbol=self.SYMBOL,
type='MARKET')
class ApiConnection:
def __init__(self, symbol, quantity):
self.client = Client(API_KEY, API_SECRET)
self.QUANTITY = float(quantity)
self.LIM = 0.0015
self.WINDOW = 1
self.LENGTH = 5
self.LAST_INDICATOR = -1
self.MEAN_SPREAD = deque([], self.LENGTH)
self.AUX_FUT = []
self.AUX_SPOT = []
self.SIGNAL_SELL = False
self.SIGNAL_BUY = False
self.POS = 0
self.I = 0
self.SYMBOL = symbol
self.column_names = [
'open_time', 'open', 'high', 'low', 'close', 'volume',
'close_time', 'quote_asset_volume', 'number_of_trades',
'taker_buy_base_asset_volume', 'taker_buy_quote_asset_volume',
'ignore'
]
self.client.futures_change_leverage(symbol=self.SYMBOL, leverage=20)
self._historical_data()
def open_web_socket(self):
self.bsm = BinanceSocketManager(self.client)
self.conn_key_spot = self.bsm.start_kline_socket(
self.SYMBOL, self._data_from_spot)
self.bsm.start()
def open_web_socket_futures(self):
self.bsm_ = BinanceSocketManager(self.client)
self.conn_key_fut = self.bsm_.start_futures_kline_socket(
self.SYMBOL, self._data_from_futures)
self.bsm_.start()
def _historical_data(self):
df_spot = pd.DataFrame(self.client.get_historical_klines(
self.SYMBOL, '1m', "6 min ago UTC"),
columns=self.column_names)
df_spot = df_spot[:5]
df_spot['close'] = pd.to_numeric(df_spot['close'])
df_futures = pd.DataFrame(self.client.futures_klines(
symbol=self.SYMBOL, interval='1m', limit=6),
columns=self.column_names)
df_futures = df_futures[:5]
df_futures['close'] = pd.to_numeric(df_futures['close'])
df_futures['close_spot'] = df_spot['close']
df_futures['spread'] = df_futures['close'] / df_futures['close_spot']
self.MEAN_SPREAD.extend(df_futures['spread'].values)
time.sleep(5)
def _data_from_futures(self, msg):
if msg['data']['k']['x']:
self.close_futures = float(msg['data']['k']['c'])
self.AUX_FUT.append(self.close_futures)
if len(self.AUX_FUT) == len(self.AUX_SPOT):
self.MEAN_SPREAD.append(self.AUX_FUT[-1] / self.AUX_SPOT[-1])
self.mean = np.mean(self.MEAN_SPREAD)
self.permutation = self._permutation_entropy()
self._strategy()
# else:
# if self.POS != 0:
# if len(self.client.futures_get_open_orders(symbol = self.SYMBOL)) == 1:
# self.POS = 0
# self.client.futures_cancel_all_open_orders(symbol=self.SYMBOL)
def _data_from_spot(self, msg):
self.I += 1
if msg['k']['x']:
self.close_spot = float(msg['k']['c'])
self.AUX_SPOT.append(self.close_spot)
if len(self.AUX_FUT) == len(self.AUX_SPOT):
self.MEAN_SPREAD.append(self.AUX_FUT[-1] / self.AUX_SPOT[-1])
self.mean = np.mean(self.MEAN_SPREAD)
self.permutation = self._permutation_entropy()
self._strategy()
else:
if self.POS != 0:
if self.I % 100 == 0:
if len(
self.client.futures_get_open_orders(
symbol=self.SYMBOL)) == 1:
self.I = 0
self.POS = 0
self.client.futures_cancel_all_open_orders(
symbol=self.SYMBOL)
def _permutation_entropy(self):
return permutation_entropy(self.MEAN_SPREAD, order=3, delay=1)
def _strategy(self):
if self.permutation == 0:
INDICATOR = (self.close_futures / self.close_spot - self.mean)
else:
INDICATOR = (self.close_futures / self.close_spot -
self.mean) / self.permutation
if INDICATOR > self.LIM:
self.LAST_INDICATOR = 1
self.SIGNAL_SELL = True
elif INDICATOR < -self.LIM:
self.LAST_INDICATOR = 0
self.SIGNAL_BUY = True
if (INDICATOR > -self.LIM) and (INDICATOR < self.LIM):
if self.LAST_INDICATOR == 1:
self.LAST_INDICATOR = -1
self.SIGNAL_BUY = True
self.SIGNAL_SELL = False
elif self.LAST_INDICATOR == 0:
self.LAST_INDICATOR = -1
self.SIGNAL_SELL = True
self.SIGNAL_BUY = False
self._operational()
sys.stdout.write(f'\r {INDICATOR}')
sys.stdout.flush()
def _operational(self):
if self.POS <= 0:
if self.SIGNAL_BUY == True:
# self.POS += 1
self._place_orders('BUY', 'SELL')
self.POS += 1
print('BUY - BTCUSDTF -- price {} -- '.format(
self.close_futures))
self.SIGNAL_BUY = False
if self.POS >= 0:
if self.SIGNAL_SELL == True:
# self.POS -= 1
self._place_orders('SELL', 'BUY')
self.POS -= 1
print('SELL - BTCUSDTF -- price {} -- '.format(
self.close_futures))
self.SIGNAL_SELL = False
def _place_orders(self, first, second):
self.client.futures_create_order(side=first,
quantity=self.QUANTITY,
symbol=self.SYMBOL,
type='MARKET')
if first == 'BUY':
stop_loss = round(self.close_futures * 0.99, 2)
stop_gain = round(self.close_futures * 1.1, 2)
else:
stop_gain = round(self.close_futures * .99, 2)
stop_loss = round(self.close_futures * 1.1, 2)
self.client.futures_create_order(side=second,
quantity=self.QUANTITY,
type='STOP_MARKET',
symbol=self.SYMBOL,
stopPrice=stop_loss)
self.client.futures_create_order(side=second,
quantity=self.QUANTITY,
type='TAKE_PROFIT_MARKET',
symbol=self.SYMBOL,
stopPrice=stop_gain)
if self.POS == 0:
self.client.futures_cancel_all_open_orders(symbol=self.SYMBOL)